diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/bbg_cds_quotes.py (renamed from python/test_bbg_cds_quotes.py) | 15 |
1 files changed, 13 insertions, 2 deletions
diff --git a/python/test_bbg_cds_quotes.py b/python/bbg_cds_quotes.py index 74cd1aeb..c9de3c58 100644 --- a/python/test_bbg_cds_quotes.py +++ b/python/bbg_cds_quotes.py @@ -1,20 +1,30 @@ +import datetime +import logging + from bbg_helpers import BBG_IP, init_bbg_session, retrieve_data from markit.import_quotes import get_index_list, get_basketids, get_bbg_tickers from db import dbconn -import datetime + +logger = logging.getLogger('bbg_quotes') +fh = logging.FileHandler(filename=os.path.join(os.environ['LOG_DIR'], 'bbg_quotes.log')) +formatter = logging.Formatter('%(asctime)s - %(name)s - %(levelname)s - %(message)s') +fh.setFormatter(formatter) +logger.addHandler(fh) +logger.setLevel(logging.INFO) workdate = datetime.date.today() serenitasdb = dbconn('serenitasdb') index_list = get_index_list(serenitasdb, workdate) basket_ids = get_basketids(serenitasdb, index_list, workdate) bbg_tickers = set(get_bbg_tickers(serenitasdb, basket_ids, workdate)) - +logger.info("got bbg tickers") securities = [f'{ticker} Curncy' for ticker in bbg_tickers] fields = ['UPFRONT_RUNNING_SPREAD', 'UPFRONT_BID', 'UPFRONT_ASK', 'CDS_RECOVERY_RT'] r = {} with init_bbg_session(BBG_IP) as session: for pcs in ['CBGN', 'CMAN']: #, 'CMAN', 'MSG1']: + logger.info(f"Retrieving quotes for {pcs}") r[pcs] = retrieve_data(session, securities, fields, overrides={'PRICING_SOURCE': pcs}) sql_str = f"INSERT INTO cds_quotes VALUES({','.join(['%s'] * 8)})" @@ -25,6 +35,7 @@ def build_tuple(k, v, workdate, source): v.get('UPFRONT_RUNNING_SPREAD'), source, v.get('CDS_RECOVERY_RT')) for pcs in ['CBGN', 'CMAN']: + logger.info(f"Retrieving quotes for {pcs}") with serenitasdb.cursor() as c: c.executemany(sql_str, [build_tuple(k, v, workdate, pcs) for k, v in r[pcs].items()]) serenitasdb.commit() |